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Tag Archives: position size
Optimal Position Size Methods and Other Misconceptions
Optimality usually refers to a solution to a problem derived with respect to some objective function. A solution that is optimal with respect to a given objective function can be non-optimal with respect to another objective function. In trading, for example, there is the well-known %Kelly method for calculating position … Continue reading
Posted in Risk Management
Tagged expectancy, Kelly, optimal betting strategies, position size
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